Backtesting allows you to simulate trading over a long period of time in just minutes. And with the optimization feature, you can find out which settings performed best over a selected historical chart period. But MT4 build-in tester doesn’t support multi-currency testing and multi –strategy testing. For example if you have two or more strategies or your strategy works on to or more currencies, it is very difficult to analyze performance analyzing several backtests separately. For this reason BJF Trading Group has developed tool, which allows you to combine several strategy tester reports. Combined report will help you to select correct strategies (or currencies) for your trading portfolio. Last version allows you to load combined report in to myfxbook. etc.
MT4ReportParser MT4 Software Usage
1.Run MT4ReportParser.exe file
2.Press "Add reports to merge" button and select all the back tests (html format) that you want to merge in the resulting report (back test)
3. Press "Result report filename" button and select file name and destination folder for the resulting report (back test)
4.Press "Merge reports" buttom
Demo version is available
Click to Download demo version
Demo version has restriction: cumulative back test will be generated on the basis of the first 15 entries of the original back tests.
Bars In Test – Displays the depth of the history on which the modeling was based.
Ticks Modelled – Displays the size of the modeled sequence. Every record of the sequence represents the bar state (OHLCV) at one or another moment. Different bar states can be modeled depending on the timeframe, modeling method, and presence of history data from smaller timeframes within a bar.
Modelling Quality – Calculated according to the following formula. This should be 90%. If not, read the article on downloading and setting up history data.
ModellingQuality = ((0.25*(StartGen-StartBar) +0.5*(StartGenM1-StartGen) + 0.9*(HistoryTotal-StartGenM1)) / (HistoryTotal-StartBar))*100%;
Gross Profit – The summed up profit for all profitable transactions;
Gross Loss – The summed up loss for all unprofitable transactions;
Total Net Profit – The Gross profit minus the Gross loss.
TotalNetProfit = GrossProfit – GrossLoss
Profit Factor – Profit factor, shows the ratio between gross profit and gross loss. The larger this number is, the better.
ProfitFactor = GrossProfit / GrossLoss
Expected Payoff – Calculated as follows:
Expected Payoff = (ProfitTrades / TotalTrades) * (GrossProfit / ProfitTrades) –(LossTrades / TotalTrades) * (GrossLoss / LossTrades)
Absolute Drawdown – Absolute drawdown is the difference between the initial deposit and the smallest value of balance within testing:
AbsoluteDrawDown = InitialDeposit – MinimalBalance
Maximal Drawdown – The highest difference between one of local upper extremums of the balance graph and the following lower extremums:
MaximalDrawDown = Max of (Maximal Peak – next Minimal Peak)
How to test expert advisors portfolio on historical data?
How to test expert advisors portfolio on historical data? (part II)